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VLU vs. VTV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VLU vs. VTV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P 1500 Value Tilt ETF (VLU) and Vanguard Value ETF (VTV). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
13.50%
12.77%
VLU
VTV

Returns By Period

The year-to-date returns for both stocks are quite close, with VLU having a 21.83% return and VTV slightly lower at 21.74%. Over the past 10 years, VLU has outperformed VTV with an annualized return of 14.63%, while VTV has yielded a comparatively lower 10.57% annualized return.


VLU

YTD

21.83%

1M

3.51%

6M

13.50%

1Y

30.34%

5Y (annualized)

14.30%

10Y (annualized)

14.63%

VTV

YTD

21.74%

1M

1.65%

6M

12.77%

1Y

29.27%

5Y (annualized)

11.77%

10Y (annualized)

10.57%

Key characteristics


VLUVTV
Sharpe Ratio2.792.90
Sortino Ratio3.884.08
Omega Ratio1.511.53
Calmar Ratio5.175.83
Martin Ratio17.5618.64
Ulcer Index1.76%1.59%
Daily Std Dev11.10%10.23%
Max Drawdown-37.38%-59.27%
Current Drawdown-0.33%-0.22%

Compare stocks, funds, or ETFs

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VLU vs. VTV - Expense Ratio Comparison

VLU has a 0.12% expense ratio, which is higher than VTV's 0.04% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VLU
SPDR S&P 1500 Value Tilt ETF
Expense ratio chart for VLU: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VTV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Correlation

-0.50.00.51.00.7

The correlation between VLU and VTV is 0.71, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

VLU vs. VTV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 1500 Value Tilt ETF (VLU) and Vanguard Value ETF (VTV). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for VLU, currently valued at 2.79, compared to the broader market0.002.004.002.792.90
The chart of Sortino ratio for VLU, currently valued at 3.88, compared to the broader market-2.000.002.004.006.008.0010.0012.003.884.08
The chart of Omega ratio for VLU, currently valued at 1.51, compared to the broader market0.501.001.502.002.503.001.511.53
The chart of Calmar ratio for VLU, currently valued at 5.17, compared to the broader market0.005.0010.0015.005.175.83
The chart of Martin ratio for VLU, currently valued at 17.56, compared to the broader market0.0020.0040.0060.0080.00100.0017.5618.64
VLU
VTV

The current VLU Sharpe Ratio is 2.79, which is comparable to the VTV Sharpe Ratio of 2.90. The chart below compares the historical Sharpe Ratios of VLU and VTV, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.79
2.90
VLU
VTV

Dividends

VLU vs. VTV - Dividend Comparison

VLU's dividend yield for the trailing twelve months is around 1.84%, less than VTV's 2.22% yield.


TTM20232022202120202019201820172016201520142013
VLU
SPDR S&P 1500 Value Tilt ETF
1.84%2.02%2.16%1.86%1.98%2.19%2.57%1.95%2.14%6.37%5.42%3.41%
VTV
Vanguard Value ETF
2.22%2.46%2.52%2.15%2.56%2.50%2.73%2.29%2.44%2.60%2.22%2.21%

Drawdowns

VLU vs. VTV - Drawdown Comparison

The maximum VLU drawdown since its inception was -37.38%, smaller than the maximum VTV drawdown of -59.27%. Use the drawdown chart below to compare losses from any high point for VLU and VTV. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.33%
-0.22%
VLU
VTV

Volatility

VLU vs. VTV - Volatility Comparison

SPDR S&P 1500 Value Tilt ETF (VLU) has a higher volatility of 4.23% compared to Vanguard Value ETF (VTV) at 3.76%. This indicates that VLU's price experiences larger fluctuations and is considered to be riskier than VTV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.23%
3.76%
VLU
VTV